Well, there are a number of different materials that I have used...
Plastics:
i)
Styrene - the same as what modern kits are made out of and generally available in thicknesses from 0.25mm and up (I generally use 0.35mm, 0.5mm, 0.75mm and 1.0mm - but also have 0.25mm and 2.0mm on hand in case). You glue (ie WELD) them with the same solvent-type type cement that you glue you kits with, but you can also 'glue' (as opposed to welding) the stuff with Super Glue.
ii)
ABS (Acrylonitrile Butadiene Styrene) - I beleive its used by Signwriters and for Car Interior Faces and etc, but in many respects is very similiar to Styrene (and for that matter, PVC, as found in pipes!). I have been using ABS Tube and Rod a bit of late, to scratch-build stuff like engines and hangar frameworks. ABS requies Methyl Ethyl Keytone to weld (which is often sold under names like 'PVC Solvent' or 'Plumbers Weld' or simply 'Pipe Glue') which comes as a slightly thickned liquid (what you want) or a black/blue coloured gel (which you dont want, cos its way to thick and will destroy fine parts). Super glue is the go, if you dont need a load bearing joint; at very least, use some 600-800 grit to take the gloss off the surface you're going to super glue! It is a little different to work than Styrene (ie, friction seems to build up faster and coarse sand papers do sort of 'tear' a little more than Styrene), but its nothing you cant adapt to. It is far more sensitive to heat that Styrene also (ie, it doesnt like being stretched and heat forming it requires very precise temperature control)...
In the case of what N4521U described above, he was most likely working with ABS (or maybe HIPS) - your regular Solvent type weld/cement just wont cut it, and as he says, things just sort of fall right off (at least using Tamiya Solvent Cement it does!
)
You can find ABS in sheets, profiles, rods and tubes... eBay is your friend here!
iii)
HIPS (High Impact Polystyrene) - I've not used HIPS personally, but I know ppl who have. Most commonly available in sheets and if you find a good source, can be half the price of ABS. It can be welded with MEK (Methyl Ethyl Keytone) like ABS, glued with Super Glue and works much the same as ABS. Some ppl have suggested it can also be welded with Styrene Solvent, but having not personally tried it, I cant vouch for it. The pro's are it supposedly can be readily found in 2-5mm sheets, so you can lamninate up big blocks relatively cheaply and carve a shape out of it - which is what the ship builder types do with it.
Metal:
i)
Brass (and it copper-alloyed variants) - can be found in thicknesses from 0.005" (5 thou) up - the thin stuff can be cut and rolled into cylindrical or conical shapes quite easily; readily etchable with Ammonium Persulphate and other etchants. Glueing is a pain tho - you need to 'key' the surface with some 300 grit and use super glue or epoxy to bond it. The railway guys apparently solder too, but its not something I have ever tried.
ii)
Lead Foil - No idea how thin it starts, but if you need a less uniform surface, that you can 'press form' (or lightly scribe) a pattern into, this stuff works nicely! Use gloves with it tho and bond with super glue after keying (LIGHTLY!!!) with 300 grit.
Other:
i)
Self Adhesive Vinyl Film - like what weather-proof plastic stickers are printed on - can be cut into strips and simply stuck onto a surface to add slightly raised panels; pretty simple. The negatives are that will time and or heat the adhesives can go off; its not resistant in anyway to sanding; doesnt like compound curves!
Thats what comes off the top of my head... There is also good old paper too.
Dan